Modeling multivariate financial time series based on correlation clustering.

Zhou, Tu.Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.Includes bibliographical references (leaves 61-70).Abstracts in English and Chinese.Chapter 1 --- Introduction --- p.0Chapter 1.1 --- Motivation and Objective --- p.0Chapter 1.2 --- Major Contribution --- p.2Chapter 1.3 --- Thesis Organization --- p.4Chapter 2 --- Measurement of Relationship between financial time series --- p.5Chapter ´ب2.1 --- Linear Correlation --- p.5Chapter 2.1.1 --- Pearson Correlation Coefficient --- p.6Chapter 2.1.2 --- Rank Correlation --- p.6Chapter 2.2 --- Mutual Information --- p.7Chapter 2.2.1 --- Approaches of Mutual Information Estimation --- p.10Chapter 2.3 --- Copula --- p.12Chapter 2.4 --- Analysis from Experimental Data --- p.14Chapter 2.4.1 --- Experiment 1: Nonlinearity --- p.14Chapter 2.4.2 --- Experiment 2: Sensitivity of Outliers --- p.16Chapter 2.4.3 --- Experiment 3: Transformation Invariance --- p.20Chapter 2.5 --- Chapter Summary --- p.23Chapter 3 --- Clustered Dynamic Conditional Correlation Model --- p.26Chapter 3.1 --- Background Review --- p.26Chapter 3.1.1 --- GARCH Model --- p.26Chapter 3.1.2 --- Multivariate GARCH model --- p.29Chapter 3.2 --- DCC Multivariate GARCH Models --- p.31Chapter 3.2.1 --- DCC GARCH Model --- p.31Chapter 3.2.2 --- Generalized DCC GARCH Model --- p.32Chapter 3.2.3 --- Block-DCC GARCH Model --- p.32Chapter 3.3 --- Clustered DCC GARCH Model --- p.34Chapter 3.3.1 --- Minimum Distance Estimation (MDE) --- p.36Chapter 3.3.2 --- Clustered DCC (CDCC) based on MDE --- p.37Chapter 3.4 --- Clustering Method Selection --- p.40Chapter 3.5 --- Model Estimation and Testing Method --- p.42Chapter 3.5.1 --- Maximum Likelihood Estimation --- p.42Chapter 3.5.2 --- Box-Pierce Statistic Test --- p.44Chapter 3.6 --- Chapter Summary --- p.44Chapter 4 --- Experimental Result and Applications on CDCC --- p.46Chapter 4.1 --- Model Comparison and Analysis --- p.46Chapter 4.2 --- Portfolio Selection Application --- p.50Chapter 4.3 --- Value at Risk Application --- p.52Chapter 4.4 --- Chapter Summary --- p.55Chapter 5 --- Conclusion --- p.57Bibliography --- p.6

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